Existing options specification, specified as a structure obtained from a
previous call to derivset.
Data Types: struct
ParameterName — Parameter name to be accessed in Options structure character vector with value of 'Diagnostics',
'Warnings', 'ConstRate', or
'BarrierMethod'
Parameter name to be accessed in Options structure,
specified as a character vector for one of the following:
'Diagnostics' — Print diagnostic information with a
returned value of 'on' or 'off'.
This option applies only for HJM, BDT, HW and BK pricing.
'Warnings' — Display warnings with a returned value
of 'on' or 'off'. This option
applies only for HJM, BDT, HW and BK pricing.
'ConstRate' — Assume constant rates between tree
nodes with a returned value of 'on' or
'off'. This option applies only for HJM, BDT, HW
and BK pricing.
BarrierMethod — Method for pricing Barrier option.
The returned values are either 'unenhanced' that uses
no correction calculation or 'interp' that uses an
enhanced valuation interpolating between nodes on barrier
boundaries.
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